Benchmarking in two price financial markets

DOI10.1007/s10436-016-0278-4zbMath1398.91279OpenAlexW2342767597MaRDI QIDQ315468

Dilip B. Madan

Publication date: 21 September 2016

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-016-0278-4

zbMATH Keywords

nonlinear expectationsacceptable risksdistorted expectationnonadditive probability

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Nonlinear equity valuation using conic finance and its regulatory implications ⋮ Financial equilibrium with non-linear valuations ⋮ Pricing options on mean reverting underliers ⋮ Lower and upper pricing of financial assets ⋮ MEASURING AND MONITORING THE EFFICIENCY OF MARKETS ⋮ CONIC TRADING IN A MARKOVIAN STEADY STATE ⋮ Affine processes under parameter uncertainty

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